ABSTRACT
In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and downside value-at-risk. We document that the connectedness level of the downside risk is higher than that of the upside risk and stock markets are more sensitive when the stock market declines. We also find that specific periods (e.g., the global financial crisis, the European debt crisis, and the COVID-19 turmoil) intensified the spillover effects across international stock markets. Our results demonstrate that DE, UK, EU, and US acted as net transmitters of dynamic connectedness;however, Japan, China, India, and Hong Kong acted as net receivers of dynamic connectedness during the sample period. These findings provide significant new information to policymakers and market participants.
ABSTRACT
This paper examines interlinkages and hedging opportunities between nine major cryptocurrencies for the period between 30 September 2015 and 4 June 2020, which notably includes the coronavirus disease 2019 (COVID-19) outbreak lasting from early 2020 through the end of the sample period. The results of dynamic conditional correlation (DCC) analysis using a minimum connectedness approach show a high degree of correlation between cryptocurrencies throughout the sample period. However, the correlations reach their minimum values during the COVID-19 pandemic, which indicates that cryptocurrencies acted as a hedge or safe haven during the stressful period of the COVID-19 pandemic. The weight of cryptocurrencies was significantly reduced and their hedging effectiveness varied greatly during the pandemic, which indicates that investors’ preferences changed during the COVID-19 period.